Adaptive testing on a regression function at a point
Abstract
We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of H\"{o}lder classes, up to a term, which we show to be necessary for adaptation. We apply the results to adaptive one-sided tests for the regression discontinuity parameter under a monotonicity restriction, the value of a monotone regression function at the boundary and the proportion of true null hypotheses in a multiple testing problem.
Cite
@article{arxiv.1408.3536,
title = {Adaptive testing on a regression function at a point},
author = {Timothy Armstrong},
journal= {arXiv preprint arXiv:1408.3536},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.1214/15-AOS1342 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)